Chiang Mai Journal of Science, Faculty of Science, Chiang Mai University

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Paper Type	Contributed Paper
Title	Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method
Author	Leila Khodayari and M. Ranjbar
Email	leila.khodayari@azaruniv.edu; m_ranjbar@azaruniv.edu
Abstract: In this paper, a modification of the original global radial basis functions-based differential quadrature (RBF-DQ) method is set forth and analyzed. The improved RBF-DQ method is applicable to the numerical approximation of solutions of a wide range of partial differential equations (PDEs) with mixed derivative terms. However, it appears to be considerably faster than the original method. In support of this contention, the multi-dimensional Black-Scholes (BS) equation in the Geometric Brownian Motion (GBM) framework has been solved numerically by using the proposed method and compared with results obtained via the original RBF-DQ method. For accuracy achieved versus work expended, the improved method performs better.
Start & End Page	1735 - 1743
Received Date	2015-01-04
Revised Date
Accepted Date	2016-02-03
Full Text	Download
Keyword	radial basis functions, multi-dimensional Black-Scholes equation, differential quadrature, European option
Volume	Vol.44 No.4 (October 2017)
DOI
Citation	Khodayari L. and Ranjbar M., Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method, Chiang Mai Journal of Science, 2017; 44(4): 1735-1743.
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Numerical Simulation for Multi-asset Derivatives Pricing Under Black-Scholes Model
page: 725 - 735
Author:Farshid Mehrdoust, Kianoush Fathi Vajargah and Asghar Rahimi
Vol.40 No.4 (OCTOBER 2013) View: 619 Download:234

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